Linear quadratic stochastic integral games and related topics
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saddle pointslinear quadratic optimal control problemsbackward stochastic Volterra integral equationsstochastic Fredholm-Volterra integral equationsstochastic integral games
Optimality conditions for problems involving relations other than differential equations (49K21) Linear-quadratic optimal control problems (49N10) Stochastic integrals (60H05) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20) Stochastic integral equations (60H20) Volterra integral equations (45D99)
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Cites work
- scientific article; zbMATH DE number 3690402 (Why is no real title available?)
- scientific article; zbMATH DE number 4125214 (Why is no real title available?)
- A class of time inconsistent risk measures and backward stochastic Volterra integral equations
- A linear quadratic optimal control problem for stochastic Volterra integral equations
- Adapted solution of a backward stochastic nonlinear Volterra integral equation
- Backward stochastic Volterra integral equations and some related problems
- Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
- Mean-field backward stochastic Volterra integral equations
- NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS
- Nonexistence and nonuniqueness of open-loop equilibria in linear- quadratic differential games
- On Feedback Control of Linear Stochastic Systems
- On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces
- Optimal Control with Integral State Equations
- Optimal dynamic advertising policies for hereditary processes
- Quadratic integral games and causal synthesis
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Stochastic Volterra equations with anticipating coefficients
- Symmetrical solutions of backward stochastic Volterra integral equations and their applications
- The Existence of Value and Saddle Point in Games of Fixed Duration
- Well-posedness and regularity of backward stochastic Volterra integral equations
Cited in
(10)- Linear quadratic control problems of stochastic Volterra integral equations
- Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations
- Nonzero-sum differential game of backward doubly stochastic systems with delay and applications
- Coalitional game with fuzzy payoffs and credibilistic nucleolus
- Stochastic Volterra integral equations with a parameter
- Impulsive stochastic Volterra integral equations driven by Lévy noise
- On linear-quadratic Gaussian dynamic games
- Approximate representations of solutions to SVIEs, and an application to numerical analysis
- Quadratic integral games and causal synthesis
- Open-loop Nash equilibria for dynamic games involving Volterra integral equations
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